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Efficiency of the South African equity market

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Author Info
David McMillan
Pako Thupayagale
Abstract

The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the market. The results show that volatility exhibits a predictable component in both sample periods, while returns in both sample periods do not. This suggests that equity market reforms had a benign impact on the market.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540701720717&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 4 (2008)
Issue (Month): 5 ()
Pages: 327-330
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Handle: RePEc:taf:apfelt:v:4:y:2008:i:5:p:327-330

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This page was last updated on 2009-12-15.

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